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Senior Integrated Risk Modeling - Hà Nội - TA003

Ngân Hàng TMCP Việt Nam Thịnh Vượng - VPBANK
Updated: 10/06/2021

Employment Information

  • Work location: Ha Noi

    Salary:

  • Industry: Banking

    Deadline to apply:

  • Level: Experienced (Non - Manager)

Benefits

Insurance, Travel opportunities, Incentive bonus, Health checkup, Training & Development, Salary review, Allowances, Annual Leave

Job requirement

1. Macroeconomic modeling and Forecasting.

  • Lead the design and construction of a suite of structural macro-econometric models; and other autoregressive integrated moving average models.
  • Carry out and authenticate macroeconomic simulation and forecasts based on the models developed and lead in disseminating results and providing advice to the higher level.
  • Develop the stress test execution of macroeconomic situation

2. Market risk and liquidity risk related models:

  • Develop internal models for economic capital charge calculation regarding to IRRBB and Market risk, Concentration risk in trading book, Economic capital aggregation
  • Develop the risk models for CCR and market risk for internal risk management.
  • Develop internal model approach for economic capital charge calculation regarding to liquidity risk, IRRBB.

3. Balance sheet  models: Develop Balance sheet model (behavioral models) for Liquidity and IRRBB management

4. Model governance

  • Maintain the macroeconomic models and balance sheet models
  • Maintain the documentation consistent with the requirements of model validators

Company Overview

Ngân Hàng TMCP Việt Nam Thịnh Vượng - VPBANK

https://tuyendung.vpbank.com.vn Number of employees: Trên 10.000

Thành lập năm 1993, Ngân hàng TMCP Việt Nam Thịnh Vượng (VPBank) là một trong những Ngân hàng TMCP hàng đầu tại Việt Nam với hơn 200 điểm giao dịch trên toàn... View more

Senior Integrated Risk Modeling - Hà Nội - TA003

Ngân Hàng TMCP Việt Nam Thịnh Vượng - VPBANK